A tool to undertand the world currenciesthe correlation map

Resumo

The currency markets are dominated by the few greatest currencies (as $, €, ¥, £ …). Their strong influence is gathering many currencies around them. From the outside, it looks like a large group of correlated currencies. - How many large groups of correlated currencies exists? What currencies are included? When considering all the currencies of the world, there are thousands of possible influences. This means a huge number of correlations to study. This is not convenient. - Is there a visual tool that can helps us to find our way, among all the numerous correlations? We propose here a simple tool to answer to those questions: the currency map. This map is a plot of more than 100 currencies. It’s easy to locate a specific currency and to find its close neighbors. And close neighbors often have similar fluctuations. We provide several examples of using this map: - An example explains how to share equally the currency risks between parties, in an import/export business. - An example explains how to create an optimum currency basket, which perfectly minimized the fluctuations over the last 10 Years. - An example to inform about the risks of contagion, in case of a local currency crisis.

Ficha do documento

Tipo

Dissertação

Ano

2016

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/17978

Palavras-chave

ToolWorld currenciesCorrelation mapFinançasAdministração financeiraCâmbio